In recent years, variation in gene expression has been recognized as an important component of environmental adaptation in multiple model species, including a few fish species. There is, however, still little known about the genetic basis of adaptation in gene expression resulting from variation in the aquatic environment (e.g. temperature, salinity and oxygen) and the physiological effect and costs of such differences in gene expression. This review presents and discusses progress and pitfalls of applying gene expression analyses to fishes and suggests simple frameworks to get started with gene expression analysis. It is emphasized that well-planned gene expression studies can serve as an important tool for the identification of selection in local populations of fishes, even for non-traditional model species where limited genomic information is available. Recent studies focusing on gene expression variation among natural fish populations are reviewed, highlighting the latest applications that combine genetic evidence from neutral markers and gene expression data.